polynomial duration model of Chambers and Carleton (Chambers, D.R., Carleton, W.T., 1988. A generalized approach to duration. In …

Duration is often applied to relate bond price changes to changes in the yield to maturity (or key interest rates). As … first order approximation. In this paper, we show that knowledge of a bond's duration (or key rate durations) allows a …-at-Risk analyses where duration (and convexity) approximations are used as fast alternatives for full revaluation. Our main …

Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in … interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at … duration. The empirical results provide evidence that first duration is an increasing function of the interest rate and next …

Duration and convexity ar ... …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … growth into the future and predict high returns for high-duration stocks following high-sentiment periods, contrary to ex …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …